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Specification and structural break tests for additive models with applications to realized variance data
Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218
Persistent link: https://www.econbiz.de/10011500308
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Nonparametric testing for smooth structural changes in panel data models
Chen, Bin; Huang, Liquan - In: Journal of econometrics 202 (2018) 2, pp. 245-267
Persistent link: https://www.econbiz.de/10011974569
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Likelihood ratio tests for multiple structural changes
Bai, Jushan - In: Journal of econometrics 91 (1999) 2, pp. 299-323
Persistent link: https://www.econbiz.de/10001382092
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Continuous record Laplace-based inference about the break date in structural change models
Casini, Alessandro; Perron, Pierre - In: Journal of econometrics 224 (2021) 1, pp. 3-21
Persistent link: https://www.econbiz.de/10013275376
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Does modeling a structural break improve forecast accuracy?
Boot, Tom; Pick, Andreas - In: Journal of econometrics 215 (2020) 1, pp. 35-59
Persistent link: https://www.econbiz.de/10012439152
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Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - In: Journal of econometrics 185 (2015) 2, pp. 468-494
Persistent link: https://www.econbiz.de/10011348962
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Semiparametric testing with highly persistent predictors
Werker, Bas J. M.; Zhou, Bo - In: Journal of econometrics 227 (2022) 2, pp. 347-370
Persistent link: https://www.econbiz.de/10013442061
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Structural breaks with deterministic and stochastic trends
Perron, Pierre; Zhu, Xiaokang - In: Journal of econometrics 129 (2005) 1/2, pp. 65-119
Persistent link: https://www.econbiz.de/10003172697
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Sieve semiparametric two-step GMM under weak dependence
Chen, Xiaohong; Liao, Zhipeng - In: Journal of econometrics 189 (2015) 1, pp. 163-186
Persistent link: https://www.econbiz.de/10011502514
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Nonparametric tests for constant tail dependence with an application to energy and finance
Bücher, Axel; Jäschke, Stefan; Wied, Dominik - In: Journal of econometrics 187 (2015) 1, pp. 154-168
Persistent link: https://www.econbiz.de/10011498799